In portuguese, we call it 'joaninha' ("little Joan"), so I'm guessing our name for it has nothing to do with Mary of Nazareth or Mary Magdalene. We also have a popular nursery rhyme involving ladybugs, and, again, it is completely different in subject from the ones mentioned before: "Joaninha, voa, voa / que o teu pai foi a Lisboa / com um saco de dinheiro / para pagar ao sapateiro" (roughly "fly, fly, ladybug / because your father went to Lisbon / with a bag of money / to pay the shoemaker"). It doesn't make much sense, I think it's just because it rhymes.